Welfare is a current hot topic for consumers and animal scientists, while at the same time it is a concern for many farmers who are worried about increasing production costs due to implementation of animal wellbeing measures. With this in mind, currently available animal-based welfare indicators were reviewed looking for valid, reliable, and on-farm feasible protocols for wellbeing assessment in dairy small ruminants. The 5 wellbeing principles, also called freedoms (freedom from hunger and thirst; from discomfiture; from pain, injury, and disease; from fear and distress; and freedom to express most normal behaviors) are internationally recognized, but they are ideal states rather than standards for acceptable welfare. Despite being usually considered together, there are remarkable differences in physiological and behavioral features of sheep and goats, as well as among their breeds which show dramatic physical differences (e.g., weight and size, wool cover, ear length), making necessary specific studies to adapt the key indicators to be used in each case (i.e., pen and feeders size, critical temperatures, acidosis, ketosis, lameness) for the assessment protocols under on-farm conditions. A good protocol is a powerful instrument for welfare assessment but also for production and health monitoring, and should be used regularly by scientists, veterinarians, technicians, and farmers. Special interest have the 2-step AWIN welfare assessment protocols for dairy sheep and dairy goats under intensive systems, that have been currently tested in a great number of farms in the European Union. Use of new technologies (e.g., infrared cameras, activity accelerometers, rumen and body sensors for pH and temperature), most of them similar to those used in dairy cattle, are very limited in small ruminants and need further research. This review focuses on the state-of-the-art of the wellbeing assessment protocols and the measuring technologies currently available, summarizes the known impact of some management practices and the physiological particularities of dairy sheep and dairy goats, with regard to wellbeing assessment and its relationship with the main production traits in dairy small ruminants.